Balance Sheet Management and Non-Trading Market Risk(“BSM”) Function
The BSM function is a division of circa 200 professionals within Treasury and is part of Citigroup's broader Finance organization. BSM's specific responsibilities cover the following:
- FirstLine Non-Trading Market Risk Management: analyzes, measures and defines management frameworks and policies for non-trading interest rate, foreign exchange, equity, credit spread and commodity risks.
- Funds Transfer Pricing (FTP): establishes and oversees the policies under which business assets and liabilities are transfer priced based on interest rates and liquidity values; executes firm-wide transfer pricing processes; and ensures retained costs and balance sheet in Treasury are minimal through an effective attribution process.
- Capital Attribution: Designs and implements the methodologies for attributing capital usage to businesses.
- Balance Sheet Analytics: Designs and develops models, analytics, and business information platforms for BSM and across the wider Treasury team, with a particular focus on Asset and Liability Management (ALM) and deposit analytics.
- Methodology and Policy Development: Leads cross functional workstreams to design, enhance, and evolve frameworks and methodologies.
- Asset Allocation: Designs and manages Treasury's security portfolio allocation process across Citi's $400bn+ global non-trading securities portfolios.
Head of Balance Sheet Analytics Role
This role directly reports to the Head of BSM. The successful candidate will partner across the function to develop sophisticated balance sheet analytics and modelling to support management decision making. The Lead Group Manager is a strategic professional who closely follows latest developments in Asset Liability Management, balance sheet modelling, large language models, machine learning and business intelligence tools. Excellent communication and influencing skills are required to advocate and negotiate internally, often at the Executive Management Team level.
Primary responsibilities include leading a circa 60 person team to:
- Design and develop interest rate risk on the banking book (IRRBB) modelling/analytics, with a strong focus on modelling customer behavior across the rate cycle.
- Develop enhanced analytics to support business, legal vehicle attestations to IRRBB metric results.
- Develop tools to analyze variability and variance of IRRBB measurements, with the goal of rapidly identifying model drift vs actual behavior, and ensuring timely escalation and remediation.
- Enhance materials supporting senior management discussions on IRRBB results.
- Develop advanced tools to rapidly identify evolving balance sheet behavior.
- Enhance analytics supporting FTP decision making, including analysis of both historical and potential scenario performance.
- Develop integrated financial resource projection and optimization tools.
- Meet all model risk management governance requirements.
Key skills:
- Excellent communication and executive presence with the ability to quickly adjust message based on audiences and agendas and to communicate complex issues clearly.
- Effective at drawing out consensus across multiple different stakeholders.
- Delivers complex strategic initiatives and remediation plans on a timely basis.
- Attracts and develops strong talent across all levels.
- Provides analytical thought leadership to resolve complex issues.
- Influences across multiple functions without direct authority.
- Works well with others in a fast-paced, high-energy environment.
- Dynamic self-starter with high degree of initiative.
Qualifications:
- Bachelor's degree in Finance, Engineering, Science, Mathematics, or related fields; advanced degree is a plus.
- 15+ years experience in Financial Services, Treasury, and transformational programs with managerial experience required.
- Extensive experience in Asset Liability Management, deposit modelling and machine learning.
- Experience in managing complex end-to-end projects (business requirements, data capture, model design, technology development, validation, implementation, and use).
- Proven ability to lead and direct analytical teams.
- Demonstrated ability to collaboratively solution complex and dynamic processes.
- Proven ability to work under pressure in ambiguous environments.
Job Family Group: Finance
Job Family: Balance Sheet Management
Time Type: Full time
Primary Location: New York, New York, United States
Primary Location Full Time Salary Range: $250,000.00 - $500,000.00
In addition to salary, Citi's offerings may also include, for eligible employees, discretionary and formulaic incentive and retention awards. Citi offers competitive employee benefits, including: medical, dental & vision coverage; 401(k); life, accident, and disability insurance; and wellness programs. Citi also offers paid time off packages, including planned time off (vacation), unplanned time off (sick leave), and paid holidays. For additional information regarding Citi employee benefits, please visit citibenefits.com. Available offerings may vary by jurisdiction, job level, and date of hire.
Anticipated Posting Close Date: Nov 04, 2024
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